<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 3.2 Final//EN">
<!--Converted with LaTeX2HTML 98.2 beta6 (August 14th, 1998)
original version by:  Nikos Drakos, CBLU, University of Leeds
* revised and updated by:  Marcus Hennecke, Ross Moore, Herb Swan
* with significant contributions from:
  Jens Lippmann, Marek Rouchal, Martin Wilck and others -->
<HTML>
<HEAD>
<TITLE>Generalized Nonsymmetric Eigenproblems (GNEP)</TITLE>
<META NAME="description" CONTENT="Generalized Nonsymmetric Eigenproblems (GNEP)">
<META NAME="keywords" CONTENT="lug_l2h">
<META NAME="resource-type" CONTENT="document">
<META NAME="distribution" CONTENT="global">
<META HTTP-EQUIV="Content-Type" CONTENT="text/html; charset=iso-8859-1">
<LINK REL="STYLESHEET" HREF="lug_l2h.css">
<LINK REL="next" HREF="node36.html">
<LINK REL="previous" HREF="node34.html">
<LINK REL="up" HREF="node33.html">
<LINK REL="next" HREF="node36.html">
</HEAD>
<BODY >
<!--Navigation Panel-->
<A NAME="tex2html4617"
 HREF="node36.html">
<IMG WIDTH="37" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="next"
 SRC="next_motif.gif"></A> 
<A NAME="tex2html4611"
 HREF="node33.html">
<IMG WIDTH="26" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="up"
 SRC="up_motif.gif"></A> 
<A NAME="tex2html4605"
 HREF="node34.html">
<IMG WIDTH="63" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="previous"
 SRC="previous_motif.gif"></A> 
<A NAME="tex2html4613"
 HREF="node1.html">
<IMG WIDTH="65" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="contents"
 SRC="contents_motif.gif"></A> 
<A NAME="tex2html4615"
 HREF="node152.html">
<IMG WIDTH="43" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="index"
 SRC="index_motif.gif"></A> 
<BR>
<B> Next:</B> <A NAME="tex2html4618"
 HREF="node36.html">Generalized Singular Value Decomposition</A>
<B> Up:</B> <A NAME="tex2html4612"
 HREF="node33.html">Generalized Eigenvalue and Singular</A>
<B> Previous:</B> <A NAME="tex2html4606"
 HREF="node34.html">Generalized Symmetric Definite Eigenproblems</A>
 &nbsp <B>  <A NAME="tex2html4614"
 HREF="node1.html">Contents</A></B> 
 &nbsp <B>  <A NAME="tex2html4616"
 HREF="node152.html">Index</A></B> 
<BR>
<BR>
<!--End of Navigation Panel-->

<H3><A NAME="SECTION03235200000000000000"></A>
<A NAME="sec_gnep_driver"></A>
<BR>
Generalized Nonsymmetric Eigenproblems (GNEP)
</H3>

<P>
<A NAME="1718"></A><A NAME="1719"></A>
Given a matrix pair (<I>A</I>, <I>B</I>), where <I>A</I> and <I>B</I> are square <I>n</I>  x  <I>n</I>
matrices, the <B>generalized nonsymmetric eigenvalue problem</B> is to find<A NAME="1721"></A><A NAME="1722"></A>
the <B>eigenvalues</B> <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img23.gif"
 ALT="$\lambda$">
<A NAME="1724"></A> and corresponding
<B>eigenvectors</B> <A NAME="1726"></A>
<IMG
 WIDTH="46" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img43.gif"
 ALT="$x \not= 0$">
such that
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
A x = \lambda B x ,
\end{displaymath}
 -->


<IMG
 WIDTH="84" HEIGHT="30" BORDER="0"
 SRC="img44.gif"
 ALT="\begin{displaymath}
A x = \lambda B x ,
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
<I>or</I> to find the eigenvalues <IMG
 WIDTH="15" HEIGHT="30" ALIGN="MIDDLE" BORDER="0"
 SRC="img45.gif"
 ALT="$\mu$">
and corresponding eigenvectors
<IMG
 WIDTH="46" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img46.gif"
 ALT="$y \not= 0$">
such that
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
\mu A y = B y.
\end{displaymath}
 -->


<IMG
 WIDTH="83" HEIGHT="30" BORDER="0"
 SRC="img47.gif"
 ALT="\begin{displaymath}
\mu A y = B y.
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
Note that these problems are equivalent with 
<!-- MATH
 $\mu = 1/\lambda$
 -->
<IMG
 WIDTH="66" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img48.gif"
 ALT="$\mu = 1/\lambda$">
and <I>x</I>=<I>y</I>
if neither <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img23.gif"
 ALT="$\lambda$">
nor <IMG
 WIDTH="15" HEIGHT="30" ALIGN="MIDDLE" BORDER="0"
 SRC="img45.gif"
 ALT="$\mu$">
is zero.  In order to deal with the case
that <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img23.gif"
 ALT="$\lambda$">
or <IMG
 WIDTH="15" HEIGHT="30" ALIGN="MIDDLE" BORDER="0"
 SRC="img45.gif"
 ALT="$\mu$">
is zero, or nearly so, the LAPACK routines return
two values, <IMG
 WIDTH="16" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img49.gif"
 ALT="$\alpha$">
and <IMG
 WIDTH="15" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img50.gif"
 ALT="$\beta$">,
for each eigenvalue, such that

<!-- MATH
 $\lambda = \alpha/\beta$
 -->
<IMG
 WIDTH="69" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img51.gif"
 ALT="$\lambda = \alpha/\beta$">
and 
<!-- MATH
 $\mu = \beta/\alpha$
 -->
<IMG
 WIDTH="69" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img52.gif"
 ALT="$\mu = \beta/\alpha$">.
<BR>

<P>
More precisely, <I>x</I> and <I>y</I> are called <B>right eigenvectors</B>.
<A NAME="1729"></A>
Vectors <IMG
 WIDTH="46" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img53.gif"
 ALT="$u \not= 0$">
or <IMG
 WIDTH="45" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img54.gif"
 ALT="$v \not= 0$">
satisfying
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
u^H A = \lambda u^H B \quad\mbox{or}\quad \mu v^H A = v^H B
\end{displaymath}
 -->


<IMG
 WIDTH="260" HEIGHT="30" BORDER="0"
 SRC="img55.gif"
 ALT="\begin{displaymath}
u^H A = \lambda u^H B \quad\mbox{or}\quad \mu v^H A = v^H B
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
are called <B>left eigenvectors</B>.
<A NAME="1732"></A>

<P>
Sometimes the following, equivalent notation is used to refer to the
generalized eigenproblem for the pair (<I>A</I>,<I>B</I>): The object <IMG
 WIDTH="63" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img56.gif"
 ALT="$A - \lambda B$">,
where <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img23.gif"
 ALT="$\lambda$">
is an indeterminate, is called a <B>matrix pencil</B>, or
just <B>pencil</B><A NAME="1735"></A>.
So one can also refer to the generalized eigenvalues
and eigenvectors of the pencil <IMG
 WIDTH="63" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img56.gif"
 ALT="$A - \lambda B$">.

<P>
If the determinant of <IMG
 WIDTH="63" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img56.gif"
 ALT="$A - \lambda B$">
is identically
zero for all values of <IMG
 WIDTH="15" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img23.gif"
 ALT="$\lambda$">,
the eigenvalue problem is called <B>singular</B>; otherwise it is <B>regular</B>.
<A NAME="1738"></A>
Singularity of (<I>A</I>,<I>B</I>) is signaled by some 
<!-- MATH
 $\alpha = \beta = 0$
 -->
<IMG
 WIDTH="82" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img57.gif"
 ALT="$\alpha = \beta = 0$">
(in the presence of roundoff, <IMG
 WIDTH="16" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img49.gif"
 ALT="$\alpha$">
and <IMG
 WIDTH="15" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img50.gif"
 ALT="$\beta$">
may be very small).
In this case, the eigenvalue problem is very ill-conditioned,
<A NAME="1739"></A>
and in fact some of the other nonzero values of <IMG
 WIDTH="16" HEIGHT="16" ALIGN="BOTTOM" BORDER="0"
 SRC="img49.gif"
 ALT="$\alpha$">
and <IMG
 WIDTH="15" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img50.gif"
 ALT="$\beta$">
may be indeterminate (see section <A HREF="node105.html#sec_singular">4.11.1.4</A> for further
discussion) [<A
 HREF="node151.html#stewart72">93</A>,<A
 HREF="node151.html#wilkinson79">105</A>,<A
 HREF="node151.html#demmelkagstrom87">29</A>].
The current routines in LAPACK are intended only for regular matrix pencils.

<P>
The generalized nonsymmetric eigenvalue problem can be solved via the
<B>generalized Schur decomposition</B>
<A NAME="1743"></A>
 of the matrix pair (<I>A</I>, <I>B</I>), defined in the <I>real case</I> as
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
A = Q S Z^T, \quad B = Q T Z^T
\end{displaymath}
 -->


<IMG
 WIDTH="198" HEIGHT="30" BORDER="0"
 SRC="img58.gif"
 ALT="\begin{displaymath}
A = Q S Z^T, \quad B = Q T Z^T
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <I>Q</I> and <I>Z</I> are orthogonal matrices, <I>T</I> is upper triangular,
and <I>S</I> is an upper quasi-triangular matrix with 1-by-1 and 2-by-2 diagonal
blocks, the 2-by-2 blocks corresponding to complex conjugate pairs of eigenvalues
of (<I>A</I>, <I>B</I>).  In the <I>complex case</I>, the generalized Schur decomposition is
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
A = Q S Z^H, \quad B = Q T Z^H
\end{displaymath}
 -->


<IMG
 WIDTH="202" HEIGHT="30" BORDER="0"
 SRC="img59.gif"
 ALT="\begin{displaymath}
A = Q S Z^H, \quad B = Q T Z^H
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
where <I>Q</I> and <I>Z</I> are unitary and <I>S</I> and <I>T</I> are both upper triangular. 
<BR>

<P>
The columns of <I>Q</I> and <I>Z</I> are called <B>left and right generalized Schur
vectors</B>
<A NAME="1747"></A><A NAME="1748"></A>
and span pairs of <B>deflating subspaces</B> of <I>A</I> and <I>B</I>
[<A
 HREF="node151.html#stewart72">93</A>].
<A NAME="1751"></A><A NAME="1752"></A>
Deflating subspaces are a generalization of invariant subspaces:
<A NAME="1753"></A><A NAME="1754"></A>
For each <I>k</I> 
<!-- MATH
 $(1\leq k \leq n)$
 -->
<IMG
 WIDTH="93" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img33.gif"
 ALT="$(1 \leq k \leq n)$">,
the first <I>k</I> columns of <I>Z</I> span a right
deflating subspace mapped by both <I>A</I> and <I>B</I> into a left deflating subspace
spanned by the first <I>k</I> columns of <I>Q</I>.

<P>
More formally, let 
<!-- MATH
 $Q = (Q_1,\,Q_2)$
 -->
<I>Q</I> = (<I>Q</I><SUB>1</SUB>, <I>Q</I><SUB>2</SUB>) and 
<!-- MATH
 $Z = (Z_1,\,Z_2)$
 -->
<I>Z</I> = (<I>Z</I><SUB>1</SUB>, <I>Z</I><SUB>2</SUB>) be a conformal
partitioning with respect to the cluster of <I>k</I> eigenvalues in the
(1,1)-block of (<I>S</I>, <I>T</I>), i.e. where <I>Q</I><SUB>1</SUB> and <I>Z</I><SUB>1</SUB> both have <I>k</I> columns,
and <I>S</I><SUB>11</SUB> and <I>T</I><SUB>11</SUB> below are both <I>k</I>-by-<I>k</I>,
<BR><P></P>
<DIV ALIGN="CENTER">

<!-- MATH
 \begin{displaymath}
\left( \begin{array}{c} Q^H_1 \\Q^H_2 \end{array} \right)
            (A - \lambda B) \left( \,\, Z_1 \,\,\, Z_2 \,\, \right)
            = S - \lambda T \equiv
        \left( \begin{array}{cc} S_{11} & S_{12} \\
                                     0  & S_{22} \end{array} \right)
        - \lambda \left( \begin{array}{cc} T_{11} & T_{12} \\
                                               0  & T_{22} \end{array} \right).
\end{displaymath}
 -->


<IMG
 WIDTH="551" HEIGHT="54" BORDER="0"
 SRC="img60.gif"
 ALT="\begin{displaymath}
\left( \begin{array}{c} Q^H_1 \\ Q^H_2 \end{array} \right)
...
...rray}{cc} T_{11} &amp; T_{12} \\
0 &amp; T_{22} \end{array} \right).
\end{displaymath}">
</DIV>
<BR CLEAR="ALL">
<P></P>
Then subspaces 
<!-- MATH
 ${\cal{L}} = \mbox{span}(Q_1)$
 -->
<IMG
 WIDTH="109" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img61.gif"
 ALT="${\cal{L}} = \mbox{span}(Q_1)$">
and 
<!-- MATH
 ${\cal{R}} = \mbox{span}(Z_1)$
 -->
<IMG
 WIDTH="110" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img62.gif"
 ALT="${\cal{R}} = \mbox{span}(Z_1)$">
form a pair of (left and right) deflating subspaces associated with the
cluster of 
<!-- MATH
 $(S_{11},T_{11})$
 -->
(<I>S</I><SUB>11</SUB>,<I>T</I><SUB>11</SUB>), satisfying 
<!-- MATH
 ${\cal{L}} = A{\cal{R}} + B{\cal{R}}$
 -->
<IMG
 WIDTH="118" HEIGHT="32" ALIGN="MIDDLE" BORDER="0"
 SRC="img63.gif"
 ALT="${\cal{L}} = A{\cal{R}} + B{\cal{R}}$">
and 
<!-- MATH
 $\mbox{dim}(\cal{L}) = \mbox{dim}(\cal{R})$
 -->
<IMG
 WIDTH="140" HEIGHT="34" ALIGN="MIDDLE" BORDER="0"
 SRC="img64.gif"
 ALT="$\mbox{dim}(\cal{L}) = \mbox{dim}(\cal{R})$">
[<A
 HREF="node151.html#stewart73">94</A>,<A
 HREF="node151.html#stewartsun90">95</A>].
It is possible to order the generalized Schur form so that

<!-- MATH
 $(S_{11}, T_{11})$
 -->
(<I>S</I><SUB>11</SUB>, <I>T</I><SUB>11</SUB>) has any desired subset of <I>k</I> eigenvalues,
taken from the set of <I>n</I> eigenvalues of (<I>S</I>,<I>T</I>).

<P>
<A NAME="1788"></A>
As for the standard nonsymmetric eigenproblem,
two pairs of drivers are provided,
one pair focusing on the generalized Schur decomposition, and the other pair
on the eigenvalues and eigenvectors as shown in Table <A HREF="node36.html#tabdrivegeig">2.6</A>:

<P>

<UL><LI>xGGES<A NAME="1791"></A><A NAME="1792"></A><A NAME="1793"></A><A NAME="1794"></A>:
         a simple driver that computes all or part of the
         generalized Schur decomposition of (<I>A</I>, <I>B</I>), with optional
         ordering of the eigenvalues; <A NAME="1795"></A>

<P>

<LI>xGGESX<A NAME="1796"></A><A NAME="1797"></A><A NAME="1798"></A><A NAME="1799"></A>:
         an expert driver that can additionally compute condition
         numbers for the average of a selected subset of eigenvalues,
         and for the corresponding pair of deflating subspaces;

<P>

<LI>xGGEV<A NAME="1800"></A><A NAME="1801"></A><A NAME="1802"></A><A NAME="1803"></A>:
         a simple driver that computes all the generalized
         eigenvalues of (<I>A</I>, <I>B</I>), and optionally the left or right
         eigenvectors (or both);

<P>

<LI>xGGEVX<A NAME="1804"></A><A NAME="1805"></A><A NAME="1806"></A><A NAME="1807"></A>:
         an expert driver that can additionally balance the
         matrix pair to improve the conditioning of the eigenvalues and
         eigenvectors, and compute condition numbers for the
         eigenvalues and/or left and right eigenvectors (or both).

<P>

</UL>
To save space in Table <A HREF="node36.html#tabdrivegeig">2.6</A>, the word ``generalized'' is
omitted before Schur decomposition, eigenvalues/vectors and singular
values/vectors.

<P>
The subroutines xGGES and xGGEV are improved versions of the drivers,
xGEGS and xGEGV, respectively.  xGEGS and xGEGV have been retained for
compatibility with Release 2.0 of LAPACK, but we omit references to these
routines in the remainder of this users' guide.

<P>
<HR>
<!--Navigation Panel-->
<A NAME="tex2html4617"
 HREF="node36.html">
<IMG WIDTH="37" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="next"
 SRC="next_motif.gif"></A> 
<A NAME="tex2html4611"
 HREF="node33.html">
<IMG WIDTH="26" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="up"
 SRC="up_motif.gif"></A> 
<A NAME="tex2html4605"
 HREF="node34.html">
<IMG WIDTH="63" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="previous"
 SRC="previous_motif.gif"></A> 
<A NAME="tex2html4613"
 HREF="node1.html">
<IMG WIDTH="65" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="contents"
 SRC="contents_motif.gif"></A> 
<A NAME="tex2html4615"
 HREF="node152.html">
<IMG WIDTH="43" HEIGHT="24" ALIGN="BOTTOM" BORDER="0" ALT="index"
 SRC="index_motif.gif"></A> 
<BR>
<B> Next:</B> <A NAME="tex2html4618"
 HREF="node36.html">Generalized Singular Value Decomposition</A>
<B> Up:</B> <A NAME="tex2html4612"
 HREF="node33.html">Generalized Eigenvalue and Singular</A>
<B> Previous:</B> <A NAME="tex2html4606"
 HREF="node34.html">Generalized Symmetric Definite Eigenproblems</A>
 &nbsp <B>  <A NAME="tex2html4614"
 HREF="node1.html">Contents</A></B> 
 &nbsp <B>  <A NAME="tex2html4616"
 HREF="node152.html">Index</A></B> 
<!--End of Navigation Panel-->
<ADDRESS>
<I>Susan Blackford</I>
<BR><I>1999-10-01</I>
</ADDRESS>
</BODY>
</HTML>
